"Ms. Connelly, too, whittled herself down to a new weight class, and it's her performance that gives the movie weight, since her fall is the most precipitous. By the end, when she curls into a happy fetal ball with a furtive smile on her face, she has come to love her debasement.... Her dank realization is more disturbing than anything in the novel, and Ms. Connelly has never before done anything to prepare us for how good she is here."
"There was a period where I felt like I wasn't quite being considered for the projects that I wanted to work on because maybe people were thinking. 'I'm not going to cast the girl who was in that movie for this adult project.' I've felt for a long time that this is what I want to do so I'm happy at this point to just take my time and work on projects that I feel really strongly about and the rest of the time just live my life."
It was followed the same year by House of Sand and Fog, a drama based on the novel by Andre Dubus III. She portrayed Kathy Nicolo, an abandoned wife whose inherited house is sold at auction to the Iranian emigre and former colonel Massoud Amir Behrani (Ben Kingsley). After reading the script, Connelly said: "(the story is) moving and beautifully written. I liked the fact that there is no good guy and bad guy. I found it really compelling that both sides do things that are morally questionable, because life is often like that." Producer Michael London said about Connelly's portrayal: "I think she understood Kathy and knew in her bones that she could take this character and give her the kind of dimension that she had. I don't think there is another actress who could have played Kathy with such power and grace." The film received worldwide critical acclaim, with a BBC reporter commenting, "[Connelly] convinces totally as a selfish, desperate and lonely woman who confesses to her brother, 'I just feel lost'".After a two-year absence from the film scene, Connelly returned in the 2005 horror/psychological thriller Dark Water, which was based on a 2002 Japanese film of the same name. She played Dahlia, a frightened young woman traumatized by her past, who moves with her daughter to an apartment in New York City where paranormal happenings take place. In his review, critic Roger Ebert wrote, "I cared about the Jennifer Connelly character; she is not a horror heroine but an actress playing a mother faced with horror. There is a difference, and because of that difference, Dark Water works".